BNY Mellon (Ireland) Risk Analysis And Volatility Evaluation

F00000S937 -- Ireland Fund  

EUR 2.08  0.06  2.80%

Our approach towards foreseeing volatility of a fund is to use all available market data together with fund specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for BNY Mellon Japan Sm Cap Focus I EUR Hdg which you can use to evaluate future volatility of the entity. Please confirm BNY Mellon Japan Risk Adjusted Performance of 0.0163 and Mean Deviation of 1.91 to double-check if risk estimate we provide are consistent with the epected return of 0.0%.
Horizon     30 Days    Login   to change

BNY Mellon Market Sensitivity

As returns on market increase, BNY Mellon returns are expected to increase less than the market. However during bear market, the loss on holding BNY Mellon will be expected to be smaller as well.
One Month Beta |Analyze BNY Mellon Japan Demand Trend
Check current 30 days BNY Mellon correlation with market (DOW)
β = 0.2011

BNY Mellon Central Daily Price Deviation

BNY Mellon Japan Technical Analysis

Transformation
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BNY Mellon Projected Return Density Against Market

Assuming 30 trading days horizon, BNY Mellon has beta of 0.2011 suggesting as returns on market go up, BNY Mellon average returns are expected to increase less than the benchmark. However during bear market, the loss on holding BNY Mellon Japan Sm Cap Focus I EUR Hdg will be expected to be much smaller as well. Moreover, BNY Mellon Japan Sm Cap Focus I EUR Hdg has an alpha of 0.0175 implying that it can potentially generate 0.0175% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
α
Alpha over DOW
=0.0175
β
Beta against DOW=0.20
σ
Overall volatility
=0.00
Ir
Information ratio =0.0044

BNY Mellon Return Volatility

BNY Mellon Japan Sm Cap Focus I EUR Hdg accepts 0.0% volatility on return distribution over the 30 days horizon. DOW inherits 1.225% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

BNY Mellon Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Insignificant

Investment Outlook

BNY Mellon Investment Opportunity

DOW has a standard deviation of returns of 1.23 and is 9.223372036854776E16 times more volatile than BNY Mellon Japan Sm Cap Focus I EUR Hdg. 0% of all equities and portfolios are less risky than BNY Mellon. Compared to the overall equity markets, volatility of historical daily returns of BNY Mellon Japan Sm Cap Focus I EUR Hdg is lower than 0 (%) of all global equities and portfolios over the last 30 days. Use BNY Mellon Japan Sm Cap Focus I EUR Hdg to protect against small markets fluctuations. The fund experiences unexpected downward movement. The market is reacting to new fundamentals. Check odds of BNY Mellon to be traded at €1.9968 in 30 days. As returns on market increase, BNY Mellon returns are expected to increase less than the market. However during bear market, the loss on holding BNY Mellon will be expected to be smaller as well.

BNY Mellon correlation with market

correlation synergy
Significant diversification
Overlapping area represents the amount of risk that can be diversified away by holding BNY Mellon Japan Sm Cap Focus and equity matching DJI index in the same portfolio.

BNY Mellon Volatility Indicators

BNY Mellon Japan Sm Cap Focus I EUR Hdg Current Risk Indicators

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